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These are hypothetical performance results that have certain inherent limitations. Learn more

JFC GLOBAL MACRO
(123413082)

Created by: JFCapital JFCapital
Started: 04/2019
Stocks
Last trade: 1,464 days ago
Trading style: Equity Hedged Equity

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
9.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(30.3%)
Max Drawdown
70
Num Trades
54.3%
Win Trades
2.1 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     (0.6%)+6.2%+9.2%+0.1%+6.8%(2.7%)+0.6%+1.1%(0.9%)+20.9%
2020+3.3%+2.5%(9.1%)+5.6%+2.0%+0.3%+3.8%+2.5%(1.5%)(0.6%)+5.5%+6.2%+21.2%
2021(1.4%)+3.5%+0.8%+0.8%(3.1%)+1.8%+4.0%+1.9%(2.1%)+7.6%(0.9%)(3.2%)+9.5%
2022(6.1%)(2.1%)+2.6%(5.7%)(3.7%)(6.8%)+3.7%(4.5%)(6.1%)+3.0%+3.8%(3.8%)(23.6%)
2023+6.3%(4.1%)+3.0%+2.0%(3.2%)(3.5%)+1.7%(3%)(2.4%)+1.6%+9.3%+4.2%+11.5%
2024+1.9%+6.8%+3.6%                                                      +12.8%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 36 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1590 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/8/20 13:42 DBC INVESCO DB COMMODITY INDEX LONG 235 15.84 3/19 12:02 10.91 2.11%
Trade id #126918384
Max drawdown($1,276)
Time3/18/20 0:00
Quant open235
Worst price10.41
Drawdown as % of equity-2.11%
($1,164)
Includes Typical Broker Commissions trade costs of $4.70
1/8/20 13:42 GLD SPDR GOLD SHARES LONG 25 146.81 3/19 12:02 139.21 0.43%
Trade id #126918380
Max drawdown($267)
Time3/16/20 0:00
Quant open25
Worst price136.12
Drawdown as % of equity-0.43%
($191)
Includes Typical Broker Commissions trade costs of $0.50
1/8/20 13:42 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 199 9.82 3/19 12:02 6.77 1.55%
Trade id #126918374
Max drawdown($957)
Time3/16/20 0:00
Quant open199
Worst price5.01
Drawdown as % of equity-1.55%
($611)
Includes Typical Broker Commissions trade costs of $3.98
1/8/20 13:41 BIV VANGUARD INTERMEDIATE-TERM BON LONG 106 87.51 3/19 12:02 84.81 0.79%
Trade id #126918367
Max drawdown($455)
Time3/19/20 9:31
Quant open106
Worst price83.21
Drawdown as % of equity-0.79%
($288)
Includes Typical Broker Commissions trade costs of $2.12
1/8/20 13:41 TLT ISHARES 20+ YEAR TREASURY BOND LONG 181 136.66 3/19 12:02 145.99 0.22%
Trade id #126918361
Max drawdown($136)
Time1/9/20 0:00
Quant open181
Worst price135.91
Drawdown as % of equity-0.22%
$1,685
Includes Typical Broker Commissions trade costs of $3.62
1/8/20 13:40 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 26 287.78 3/19 12:02 200.95 4.23%
Trade id #126918339
Max drawdown($2,550)
Time3/18/20 0:00
Quant open26
Worst price189.67
Drawdown as % of equity-4.23%
($2,259)
Includes Typical Broker Commissions trade costs of $0.52
1/8/20 13:37 ADBE ADOBE INC LONG 4 337.78 3/19 12:02 299.79 0.55%
Trade id #126918239
Max drawdown($330)
Time3/18/20 0:00
Quant open4
Worst price255.13
Drawdown as % of equity-0.55%
($152)
Includes Typical Broker Commissions trade costs of $0.08
1/8/20 13:37 SSNC SS&C TECHNOLOGIES HOLDING LONG 20 62.12 3/19 12:02 36.12 1.08%
Trade id #126918231
Max drawdown($652)
Time3/18/20 0:00
Quant open20
Worst price29.51
Drawdown as % of equity-1.08%
($520)
Includes Typical Broker Commissions trade costs of $0.40
1/8/20 13:36 INTU INTUIT LONG 5 274.01 3/19 12:02 215.99 0.55%
Trade id #126918225
Max drawdown($317)
Time3/19/20 9:43
Quant open5
Worst price210.52
Drawdown as % of equity-0.55%
($290)
Includes Typical Broker Commissions trade costs of $0.10
1/8/20 13:36 NFLX NETFLIX LONG 4 339.00 3/19 12:02 335.47 0.32%
Trade id #126918214
Max drawdown($195)
Time3/17/20 0:00
Quant open4
Worst price290.25
Drawdown as % of equity-0.32%
($14)
Includes Typical Broker Commissions trade costs of $0.08
1/8/20 13:38 STAA STAAR SURGICAL LONG 35 34.99 3/2 9:30 31.64 0.44%
Trade id #126918256
Max drawdown($279)
Time2/27/20 0:00
Quant open35
Worst price27.00
Drawdown as % of equity-0.44%
($118)
Includes Typical Broker Commissions trade costs of $0.70
1/8/20 13:36 VEEV VEEVA SYSTEMS INC LONG 9 141.04 2/24 9:31 151.45 0%
Trade id #126918219
Max drawdown($1)
Time1/27/20 0:00
Quant open9
Worst price140.90
Drawdown as % of equity-0.00%
$94
Includes Typical Broker Commissions trade costs of $0.18
1/8/20 13:35 INVH INVITATION HOMES INC LONG 42 29.67 2/24 9:30 31.01 0%
Trade id #126918164
Max drawdown($1)
Time1/9/20 0:00
Quant open42
Worst price29.64
Drawdown as % of equity-0.00%
$55
Includes Typical Broker Commissions trade costs of $0.84
1/8/20 13:37 AYX ALTERYX INC LONG 11 116.88 2/24 9:30 125.92 0.03%
Trade id #126918248
Max drawdown($19)
Time1/8/20 15:58
Quant open11
Worst price115.07
Drawdown as % of equity-0.03%
$99
Includes Typical Broker Commissions trade costs of $0.22
1/8/20 13:35 Y ALLEGHANY DEL LONG 2 803.79 1/9 9:30 799.70 0.02%
Trade id #126918173
Max drawdown($13)
Time1/8/20 15:57
Quant open2
Worst price797.17
Drawdown as % of equity-0.02%
($8)
Includes Typical Broker Commissions trade costs of $0.04
9/25/19 14:05 DBC INVESCO DB COMMODITY INDEX LONG 237 15.23 1/6/20 14:05 16.23 0.2%
Trade id #125506505
Max drawdown($119)
Time10/3/19 0:00
Quant open237
Worst price14.73
Drawdown as % of equity-0.20%
$231
Includes Typical Broker Commissions trade costs of $4.74
9/25/19 14:00 AMD ADVANCED MICRO DEVICES INC. C LONG 41 29.39 1/6/20 14:05 48.23 0.13%
Trade id #125506395
Max drawdown($80)
Time10/3/19 0:00
Quant open41
Worst price27.43
Drawdown as % of equity-0.13%
$771
Includes Typical Broker Commissions trade costs of $0.82
9/25/19 13:58 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 36 269.53 1/6/20 14:04 286.21 0.73%
Trade id #125506361
Max drawdown($437)
Time10/3/19 0:00
Quant open36
Worst price257.38
Drawdown as % of equity-0.73%
$599
Includes Typical Broker Commissions trade costs of $0.72
9/25/19 14:01 STAA STAAR SURGICAL LONG 43 28.05 1/6/20 14:04 34.39 0.31%
Trade id #125506413
Max drawdown($183)
Time10/3/19 0:00
Quant open43
Worst price23.78
Drawdown as % of equity-0.31%
$271
Includes Typical Broker Commissions trade costs of $0.86
9/25/19 13:59 NFLX NETFLIX LONG 5 261.13 1/6/20 14:04 334.12 0.03%
Trade id #125506368
Max drawdown($20)
Time10/3/19 0:00
Quant open5
Worst price257.01
Drawdown as % of equity-0.03%
$365
Includes Typical Broker Commissions trade costs of $0.10
9/25/19 14:04 GLD SPDR GOLD SHARES LONG 25 141.86 1/6/20 14:04 147.54 0.24%
Trade id #125506482
Max drawdown($141)
Time11/12/19 0:00
Quant open25
Worst price136.19
Drawdown as % of equity-0.24%
$142
Includes Typical Broker Commissions trade costs of $0.50
9/25/19 13:59 NOW SERVICENOW LONG 5 253.93 1/6/20 14:04 291.30 0.34%
Trade id #125506381
Max drawdown($199)
Time10/23/19 0:00
Quant open5
Worst price213.99
Drawdown as % of equity-0.34%
$187
Includes Typical Broker Commissions trade costs of $0.10
9/25/19 14:00 AYX ALTERYX INC LONG 11 107.32 1/6/20 14:04 109.25 0.4%
Trade id #125506398
Max drawdown($234)
Time10/22/19 0:00
Quant open11
Worst price86.00
Drawdown as % of equity-0.40%
$21
Includes Typical Broker Commissions trade costs of $0.22
9/25/19 14:02 ACIA ACACIA COMMUNICATIONS INC. COMMON STOCK LONG 19 64.43 1/6/20 14:03 68.13 0.02%
Trade id #125506437
Max drawdown($11)
Time9/26/19 0:00
Quant open19
Worst price63.85
Drawdown as % of equity-0.02%
$70
Includes Typical Broker Commissions trade costs of $0.38
9/25/19 14:04 BIV VANGUARD INTERMEDIATE-TERM BON LONG 103 87.66 1/6/20 14:03 87.71 0.17%
Trade id #125506477
Max drawdown($104)
Time11/7/19 0:00
Quant open103
Worst price86.64
Drawdown as % of equity-0.17%
$3
Includes Typical Broker Commissions trade costs of $2.06
9/25/19 14:06 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 169 10.37 1/6/20 14:03 8.96 0.68%
Trade id #125506523
Max drawdown($415)
Time1/2/20 0:00
Quant open169
Worst price7.91
Drawdown as % of equity-0.68%
($241)
Includes Typical Broker Commissions trade costs of $3.38
9/25/19 14:03 TLT ISHARES 20+ YEAR TREASURY BOND LONG 170 141.53 1/6/20 14:03 138.85 1.99%
Trade id #125506467
Max drawdown($1,202)
Time11/7/19 0:00
Quant open170
Worst price134.45
Drawdown as % of equity-1.99%
($458)
Includes Typical Broker Commissions trade costs of $3.40
9/25/19 14:02 LSCC LATTICE SEMICONDUCTOR LONG 61 19.76 11/19 14:05 19.08 0.28%
Trade id #125506449
Max drawdown($164)
Time10/30/19 0:00
Quant open61
Worst price17.06
Drawdown as % of equity-0.28%
($42)
Includes Typical Broker Commissions trade costs of $1.22
8/19/19 14:29 AMD ADVANCED MICRO DEVICES INC. C LONG 28 31.66 9/23 14:41 30.65 0.1%
Trade id #124991976
Max drawdown($63)
Time8/23/19 0:00
Quant open28
Worst price29.40
Drawdown as % of equity-0.10%
($29)
Includes Typical Broker Commissions trade costs of $0.56
8/19/19 14:27 NOW SERVICENOW LONG 6 256.62 9/23 14:41 268.14 0.1%
Trade id #124991946
Max drawdown($60)
Time9/10/19 0:00
Quant open6
Worst price246.50
Drawdown as % of equity-0.10%
$69
Includes Typical Broker Commissions trade costs of $0.12

Statistics

  • Strategy began
    4/24/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1797.29
  • Age
    60 months ago
  • What it trades
    Stocks
  • # Trades
    70
  • # Profitable
    38
  • % Profitable
    54.30%
  • Avg trade duration
    287.0 days
  • Max peak-to-valley drawdown
    30.33%
  • drawdown period
    Nov 12, 2021 - Oct 21, 2022
  • Annual Return (Compounded)
    9.2%
  • Avg win
    $1,337
  • Avg loss
    $854.09
  • Model Account Values (Raw)
  • Cash
    $31,859
  • Margin Used
    $0
  • Buying Power
    $46,831
  • Ratios
  • W:L ratio
    2.07:1
  • Sharpe Ratio
    0.53
  • Sortino Ratio
    0.73
  • Calmar Ratio
    0.869
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -24.01%
  • Correlation to SP500
    0.46400
  • Return Percent SP500 (cumu) during strategy life
    79.30%
  • Return Statistics
  • Ann Return (w trading costs)
    9.2%
  • Slump
  • Current Slump as Pcnt Equity
    9.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.48%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.092%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $854
  • Avg Win
    $1,337
  • Sum Trade PL (losers)
    $27,331.000
  • Age
  • Num Months filled monthly returns table
    60
  • Win / Loss
  • Sum Trade PL (winners)
    $50,815.000
  • # Winners
    38
  • Num Months Winners
    36
  • Dividends
  • Dividends Received in Model Acct
    5652
  • Win / Loss
  • # Losers
    32
  • % Winners
    54.3%
  • Frequency
  • Avg Position Time (mins)
    413275.00
  • Avg Position Time (hrs)
    6887.91
  • Avg Trade Length
    287.0 days
  • Last Trade Ago
    1461
  • Leverage
  • Daily leverage (average)
    1.39
  • Daily leverage (max)
    2.02
  • Regression
  • Alpha
    0.01
  • Beta
    0.27
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    6.16
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    75.77
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.75
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.899
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.08
  • Avg(MAE) / Avg(PL) - Winning trades
    0.150
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.288
  • Hold-and-Hope Ratio
    1.481
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22102
  • SD
    0.26361
  • Sharpe ratio (Glass type estimate)
    0.83844
  • Sharpe ratio (Hedges UMVUE)
    0.81075
  • df
    23.00000
  • t
    1.18574
  • p
    0.12392
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57703
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23635
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59482
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21632
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24546
  • Upside Potential Ratio
    2.54066
  • Upside part of mean
    0.45087
  • Downside part of mean
    -0.22985
  • Upside SD
    0.19792
  • Downside SD
    0.17746
  • N nonnegative terms
    17.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.30680
  • Mean of criterion
    0.22102
  • SD of predictor
    0.33340
  • SD of criterion
    0.26361
  • Covariance
    0.06972
  • r
    0.79334
  • b (slope, estimate of beta)
    0.62728
  • a (intercept, estimate of alpha)
    0.02857
  • Mean Square Error
    0.02692
  • DF error
    22.00000
  • t(b)
    6.11248
  • p(b)
    0.00000
  • t(a)
    0.23764
  • p(a)
    0.40718
  • Lowerbound of 95% confidence interval for beta
    0.41445
  • Upperbound of 95% confidence interval for beta
    0.84010
  • Lowerbound of 95% confidence interval for alpha
    -0.22076
  • Upperbound of 95% confidence interval for alpha
    0.27790
  • Treynor index (mean / b)
    0.35235
  • Jensen alpha (a)
    0.02857
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18460
  • SD
    0.27028
  • Sharpe ratio (Glass type estimate)
    0.68302
  • Sharpe ratio (Hedges UMVUE)
    0.66046
  • df
    23.00000
  • t
    0.96594
  • p
    0.17206
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72391
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73852
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05945
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94991
  • Upside Potential Ratio
    2.22115
  • Upside part of mean
    0.43166
  • Downside part of mean
    -0.24705
  • Upside SD
    0.18729
  • Downside SD
    0.19434
  • N nonnegative terms
    17.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.24932
  • Mean of criterion
    0.18460
  • SD of predictor
    0.33692
  • SD of criterion
    0.27028
  • Covariance
    0.07313
  • r
    0.80304
  • b (slope, estimate of beta)
    0.64419
  • a (intercept, estimate of alpha)
    0.02400
  • Mean Square Error
    0.02712
  • DF error
    22.00000
  • t(b)
    6.32049
  • p(b)
    0.00000
  • t(a)
    0.20134
  • p(a)
    0.42114
  • Lowerbound of 95% confidence interval for beta
    0.43282
  • Upperbound of 95% confidence interval for beta
    0.85556
  • Lowerbound of 95% confidence interval for alpha
    -0.22319
  • Upperbound of 95% confidence interval for alpha
    0.27118
  • Treynor index (mean / b)
    0.28657
  • Jensen alpha (a)
    0.02400
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10681
  • Expected Shortfall on VaR
    0.13510
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02905
  • Expected Shortfall on VaR
    0.06914
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.79607
  • Quartile 1
    0.99879
  • Median
    1.03425
  • Quartile 3
    1.05594
  • Maximum
    1.16578
  • Mean of quarter 1
    0.92584
  • Mean of quarter 2
    1.01331
  • Mean of quarter 3
    1.04225
  • Mean of quarter 4
    1.10159
  • Inter Quartile Range
    0.05715
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.84501
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04167
  • Mean of outliers high
    1.16578
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.75599
  • VaR(95%) (moments method)
    0.05352
  • Expected Shortfall (moments method)
    0.25989
  • Extreme Value Index (regression method)
    0.97366
  • VaR(95%) (regression method)
    0.09525
  • Expected Shortfall (regression method)
    4.14124
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02030
  • Quartile 1
    0.02913
  • Median
    0.05730
  • Quartile 3
    0.13369
  • Maximum
    0.28723
  • Mean of quarter 1
    0.02030
  • Mean of quarter 2
    0.03208
  • Mean of quarter 3
    0.08251
  • Mean of quarter 4
    0.28723
  • Inter Quartile Range
    0.10456
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26481
  • Compounded annual return (geometric extrapolation)
    0.23678
  • Calmar ratio (compounded annual return / max draw down)
    0.82435
  • Compounded annual return / average of 25% largest draw downs
    0.82435
  • Compounded annual return / Expected Shortfall lognormal
    1.75266
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22016
  • SD
    0.19368
  • Sharpe ratio (Glass type estimate)
    1.13672
  • Sharpe ratio (Hedges UMVUE)
    1.13510
  • df
    525.00000
  • t
    1.61063
  • p
    0.05393
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24873
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52115
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24987
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52007
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61918
  • Upside Potential Ratio
    7.80018
  • Upside part of mean
    1.06060
  • Downside part of mean
    -0.84044
  • Upside SD
    0.13834
  • Downside SD
    0.13597
  • N nonnegative terms
    299.00000
  • N negative terms
    227.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    526.00000
  • Mean of predictor
    0.31483
  • Mean of criterion
    0.22016
  • SD of predictor
    0.32985
  • SD of criterion
    0.19368
  • Covariance
    0.03091
  • r
    0.48377
  • b (slope, estimate of beta)
    0.28406
  • a (intercept, estimate of alpha)
    0.13100
  • Mean Square Error
    0.02879
  • DF error
    524.00000
  • t(b)
    12.65310
  • p(b)
    0.00000
  • t(a)
    1.08985
  • p(a)
    0.13814
  • Lowerbound of 95% confidence interval for beta
    0.23996
  • Upperbound of 95% confidence interval for beta
    0.32816
  • Lowerbound of 95% confidence interval for alpha
    -0.10492
  • Upperbound of 95% confidence interval for alpha
    0.36639
  • Treynor index (mean / b)
    0.77506
  • Jensen alpha (a)
    0.13073
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20127
  • SD
    0.19423
  • Sharpe ratio (Glass type estimate)
    1.03622
  • Sharpe ratio (Hedges UMVUE)
    1.03474
  • df
    525.00000
  • t
    1.46823
  • p
    0.07132
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34895
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42042
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34995
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41942
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45024
  • Upside Potential Ratio
    7.57376
  • Upside part of mean
    1.05112
  • Downside part of mean
    -0.84985
  • Upside SD
    0.13620
  • Downside SD
    0.13878
  • N nonnegative terms
    299.00000
  • N negative terms
    227.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    526.00000
  • Mean of predictor
    0.26004
  • Mean of criterion
    0.20127
  • SD of predictor
    0.33138
  • SD of criterion
    0.19423
  • Covariance
    0.03116
  • r
    0.48417
  • b (slope, estimate of beta)
    0.28379
  • a (intercept, estimate of alpha)
    0.12747
  • Mean Square Error
    0.02894
  • DF error
    524.00000
  • t(b)
    12.66690
  • p(b)
    0.00000
  • t(a)
    1.06051
  • p(a)
    0.14470
  • Lowerbound of 95% confidence interval for beta
    0.23978
  • Upperbound of 95% confidence interval for beta
    0.32780
  • Lowerbound of 95% confidence interval for alpha
    -0.10866
  • Upperbound of 95% confidence interval for alpha
    0.36361
  • Treynor index (mean / b)
    0.70922
  • Jensen alpha (a)
    0.12747
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01879
  • Expected Shortfall on VaR
    0.02369
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00654
  • Expected Shortfall on VaR
    0.01438
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    526.00000
  • Minimum
    0.92367
  • Quartile 1
    0.99695
  • Median
    1.00121
  • Quartile 3
    1.00531
  • Maximum
    1.05857
  • Mean of quarter 1
    0.98818
  • Mean of quarter 2
    0.99942
  • Mean of quarter 3
    1.00294
  • Mean of quarter 4
    1.01326
  • Inter Quartile Range
    0.00836
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.04563
  • Mean of outliers low
    0.96850
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.04753
  • Mean of outliers high
    1.03108
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42646
  • VaR(95%) (moments method)
    0.01061
  • Expected Shortfall (moments method)
    0.02187
  • Extreme Value Index (regression method)
    0.27689
  • VaR(95%) (regression method)
    0.01060
  • Expected Shortfall (regression method)
    0.01859
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00053
  • Quartile 1
    0.00465
  • Median
    0.00829
  • Quartile 3
    0.02533
  • Maximum
    0.29623
  • Mean of quarter 1
    0.00211
  • Mean of quarter 2
    0.00642
  • Mean of quarter 3
    0.01875
  • Mean of quarter 4
    0.10557
  • Inter Quartile Range
    0.02068
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.13945
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.12106
  • VaR(95%) (moments method)
    0.08310
  • Expected Shortfall (moments method)
    0.12963
  • Extreme Value Index (regression method)
    0.67708
  • VaR(95%) (regression method)
    0.14338
  • Expected Shortfall (regression method)
    0.50838
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29101
  • Compounded annual return (geometric extrapolation)
    0.25756
  • Calmar ratio (compounded annual return / max draw down)
    0.86948
  • Compounded annual return / average of 25% largest draw downs
    2.43964
  • Compounded annual return / Expected Shortfall lognormal
    10.87270
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00163
  • SD
    0.32239
  • Sharpe ratio (Glass type estimate)
    -0.00506
  • Sharpe ratio (Hedges UMVUE)
    -0.00503
  • df
    130.00000
  • t
    -0.00358
  • p
    0.50016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.77687
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76674
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.77684
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76677
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00715
  • Upside Potential Ratio
    7.62998
  • Upside part of mean
    1.74270
  • Downside part of mean
    -1.74433
  • Upside SD
    0.22577
  • Downside SD
    0.22840
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36225
  • Mean of criterion
    -0.00163
  • SD of predictor
    0.39089
  • SD of criterion
    0.32239
  • Covariance
    0.08896
  • r
    0.70595
  • b (slope, estimate of beta)
    0.58223
  • a (intercept, estimate of alpha)
    -0.21255
  • Mean Square Error
    0.05254
  • DF error
    129.00000
  • t(b)
    11.32070
  • p(b)
    0.09137
  • t(a)
    -0.65461
  • p(a)
    0.53661
  • Lowerbound of 95% confidence interval for beta
    0.48048
  • Upperbound of 95% confidence interval for beta
    0.68399
  • Lowerbound of 95% confidence interval for alpha
    -0.85498
  • Upperbound of 95% confidence interval for alpha
    0.42988
  • Treynor index (mean / b)
    -0.00280
  • Jensen alpha (a)
    -0.21255
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05339
  • SD
    0.32335
  • Sharpe ratio (Glass type estimate)
    -0.16513
  • Sharpe ratio (Hedges UMVUE)
    -0.16418
  • df
    130.00000
  • t
    -0.11676
  • p
    0.50512
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.93677
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60699
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.93605
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60770
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.22824
  • Upside Potential Ratio
    7.34226
  • Upside part of mean
    1.71768
  • Downside part of mean
    -1.77108
  • Upside SD
    0.22145
  • Downside SD
    0.23394
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28573
  • Mean of criterion
    -0.05339
  • SD of predictor
    0.39290
  • SD of criterion
    0.32335
  • Covariance
    0.08950
  • r
    0.70449
  • b (slope, estimate of beta)
    0.57979
  • a (intercept, estimate of alpha)
    -0.21906
  • Mean Square Error
    0.05307
  • DF error
    129.00000
  • t(b)
    11.27430
  • p(b)
    0.09202
  • t(a)
    -0.67169
  • p(a)
    0.53756
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    0.47805
  • Upperbound of 95% confidence interval for beta
    0.68154
  • Lowerbound of 95% confidence interval for alpha
    -0.86431
  • Upperbound of 95% confidence interval for alpha
    0.42620
  • Treynor index (mean / b)
    -0.09209
  • Jensen alpha (a)
    -0.21906
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03252
  • Expected Shortfall on VaR
    0.04054
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01595
  • Expected Shortfall on VaR
    0.03145
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92367
  • Quartile 1
    0.99230
  • Median
    0.99933
  • Quartile 3
    1.00917
  • Maximum
    1.05857
  • Mean of quarter 1
    0.97756
  • Mean of quarter 2
    0.99623
  • Mean of quarter 3
    1.00296
  • Mean of quarter 4
    1.02373
  • Inter Quartile Range
    0.01687
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.95176
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.04742
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25451
  • VaR(95%) (moments method)
    0.02136
  • Expected Shortfall (moments method)
    0.03522
  • Extreme Value Index (regression method)
    0.22852
  • VaR(95%) (regression method)
    0.01776
  • Expected Shortfall (regression method)
    0.02727
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00532
  • Quartile 1
    0.01296
  • Median
    0.02060
  • Quartile 3
    0.15841
  • Maximum
    0.29623
  • Mean of quarter 1
    0.00532
  • Mean of quarter 2
    0.02060
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.29623
  • Inter Quartile Range
    0.14545
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -328591000
  • Max Equity Drawdown (num days)
    343
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02533
  • Compounded annual return (geometric extrapolation)
    -0.02517
  • Calmar ratio (compounded annual return / max draw down)
    -0.08495
  • Compounded annual return / average of 25% largest draw downs
    -0.08495
  • Compounded annual return / Expected Shortfall lognormal
    -0.62080

Strategy Description

The investment process is based on movements in underlying economic variables and the impact these have on equity, fixed income, currencies and commodity markets. We are applying a variety of techniques: discretionary and systematic analysis, combination of top down and bottom up theses, quantitative and fundamental approaches and relatively long term holding periods.
Our goal with this strategy is not to outperform the market with large and leveraged short term positions, but to achieve consistent long term growth and capital protection through all market environments. Our focus is on low market correlation with long-term stable and maximized positive returns.
Each change in the portfolio is announced one day before the change with a full elaboration of why the change is being made, our target price for the asset that is going to be traded and its capital allocation size in the overall portfolio.

Summary Statistics

Strategy began
2019-04-24
Suggested Minimum Capital
$15,000
# Trades
70
# Profitable
38
% Profitable
54.3%
Net Dividends
Correlation S&P500
0.464
Sharpe Ratio
0.53
Sortino Ratio
0.73
Beta
0.27
Alpha
0.01
Leverage
1.39 Average
2.02 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.